The coal industry is the leading one in Shanxi Province, However, with the rapid development of it in recent years, Shanxi Province has lost into a serious resource dependence on the coal resource and the resource curse has become increasingly evident. According to the theory of the value chain, it analyzes the development status and existing problems of Shanxi coal industry value chain ,proposing measures about how to improve Shanxi coal industry value chain:identify industry location to enhance the rational allocation of resources; increase R & D investment to improve the technical level of coal; promote the development of the coal chemical industry, increase product added value;, develop the brand multiplier marketing to expand marketing channels based on the coal industry; Receive added value through the creativity in cultural industries.